The solution that I use for this problem is slightly more elaborate.
My util static class contains an extension method MarkEnd which converts the T-items in EndMarkedItem<T>-items. Each element is marked with an extra int, which is either 0; or (in case one is particularly interested in the last 3 items) -3, -2, or -1 for the last 3 items.
This could be useful on its own, e.g. when you want to create a list in a simple foreach-loop with commas after each element except the last 2, with the second-to-last item followed by a conjunction word (such as “and” or “or”), and the last element followed by a point.
For generating the entire list without the last n items, the extension method ButLast simply iterates over the EndMarkedItem<T>s while EndMark == 0.
If you don’t specify tailLength, only the last item is marked (in MarkEnd()) or dropped (in ButLast()).
Like the other solutions, this works by buffering.
using System;
using System.Collections.Generic;
using System.Linq;
namespace Adhemar.Util.Linq {
    public struct EndMarkedItem<T> {
        public T Item { get; private set; }
        public int EndMark { get; private set; }
        public EndMarkedItem(T item, int endMark) : this() {
            Item = item;
            EndMark = endMark;
        }
    }
    public static class TailEnumerables {
        public static IEnumerable<T> ButLast<T>(this IEnumerable<T> ts) {
            return ts.ButLast(1);
        }
        public static IEnumerable<T> ButLast<T>(this IEnumerable<T> ts, int tailLength) {
            return ts.MarkEnd(tailLength).TakeWhile(te => te.EndMark == 0).Select(te => te.Item);
        }
        public static IEnumerable<EndMarkedItem<T>> MarkEnd<T>(this IEnumerable<T> ts) {
            return ts.MarkEnd(1);
        }
        public static IEnumerable<EndMarkedItem<T>> MarkEnd<T>(this IEnumerable<T> ts, int tailLength) {
            if (tailLength < 0) {
                throw new ArgumentOutOfRangeException("tailLength");
            }
            else if (tailLength == 0) {
                foreach (var t in ts) {
                    yield return new EndMarkedItem<T>(t, 0);
                }
            }
            else {
                var buffer = new T[tailLength];
                var index = -buffer.Length;
                foreach (var t in ts) {
                    if (index < 0) {
                        buffer[buffer.Length + index] = t;
                        index++;
                    }
                    else {
                        yield return new EndMarkedItem<T>(buffer[index], 0);
                        buffer[index] = t;
                        index++;
                        if (index == buffer.Length) {
                            index = 0;
                        }
                    }
                }
                if (index >= 0) {
                    for (var i = index; i < buffer.Length; i++) {
                        yield return new EndMarkedItem<T>(buffer[i], i - buffer.Length - index);
                    }
                    for (var j = 0; j < index; j++) {
                        yield return new EndMarkedItem<T>(buffer[j], j - index);
                    }
                }
                else {
                    for (var k = 0; k < buffer.Length + index; k++) {
                        yield return new EndMarkedItem<T>(buffer[k], k - buffer.Length - index);
                    }
                }
            }    
        }
    }
}